8 Fair value of financial instruments

The table shows the fair values of financial instruments based on the valuation methods explained in the following, and assumptions. The fair value corresponds to the amount, at which assets could be exchanged or obligations fulfilled between knowledgeable, willing parties. If an active market exists (e. g. a recognised exchange), the LLB Group determines the fair value on the basis of the market price or other market quotes. Details about the determination of fair values are shown in note 39.

Fair value of financial instruments

(XLS:)

in CHF thousands

31.12.2011

31.12.2010

 

Carrying value

Fair value

Deviation

Carrying value

Fair value

Deviation

Assets

 

 

 

 

 

 

Cash and balances with central banks

896'749

896'749

0

572'706

572'706

0

Due from banks

6'819'971

6'855'292

35'321

6'852'622

6'875'579

22'957

Due from customers

10'327'445

10'795'518

468'073

9'874'584

10'096'787

222'203

Trading portfolio assets

4'379

4'379

0

7'802

7'802

0

Derivative financial instruments

125'988

125'988

0

168'796

168'796

0

Financial investments at fair value through profit and loss

937'954

937'954

0

3'727'949

3'727'949

0

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

 

Due to banks

595'105

596'049

–944

389'464

389'454

10

Due to customers

15'769'758

15'801'285

–31'527

14'926'149

14'920'060

6'089

Liabilities from insurance contracts

0

0

0

99'524

99'524

0

Financial liabilities at fair value through profit and loss

0

0

0

2'857'146

2'857'146

0

Derivative financial instruments

166'387

166'387

0

162'361

162'361

0

Debt issued

1'249'356

1'317'044

–67'688

1'617'296

1'663'867

–46'571

 

 

 

 

 

 

 

Deviation between fair value and carrying value

 

 

403'235

 

 

204'688

The following valuation methods are applied in calculating the fair value of financial instruments:

Cash and balances with central banks and money market instruments

These financial instruments have a maturity or a refinancing profile of maximum one year. The book value corresponds approximately to fair value.

Due from/to banks and customers

The fair value of these positions having a maturity or a refinancing profile are determined using similar maturity swap rates. Replicate portfolios are employed for products for which fixed interest rates or cash flows are not known in advance.

Trading portfolio assets, derivative financial instruments, financial investments at fair value through profit and loss, investment property and due from/to insurance business

For the majority of financial instruments, fair value corresponds to the market value. The fair value of financial instruments without an established market value is determined using generally accepted valuation models.

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